Pricing of Quanto option under the Hull and White stochastic volatility model
Commun. Korean Math. Soc. 2013 Vol. 28, No. 3, 615-633
Printed July 1, 2013
Jiho Park, Youngrok Lee, and Jaesung Lee
Sogang University, Sogang University, Sogang University
Abstract : We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.
Keywords : quanto option, stochastic volatility model, Hull and White model, correlation expansion method
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